Page - 143 - in The Austrian Business Cycle in the European Context
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143
Based on the calculation of pair-wise cross-correlations of HP-
filtered series, they conducted a cluster analysis which suggested
that Belgium, France, Germany, the Netherlands, Austria, Portugal
and Greece have corresponding business cycle fluctuations. For
GDP, their study shows a synchronised cross-correlation between
Austria and Germany of 0.7 4, which is somewhat above the 0.65
found for our only HP-filtered series. It is more in line with our results
for BK-transformed data.
9
.11 Comparing the results with the study by Artis - Krolzig
- Toro (2004)
The study carried out by Artis -Krolzig - Toro (2004) is rather exten-
sive and provides explicit dates of turning points for different EU
countries. To this end, the authors used a panel of industrial pro-
duction and GDP figures starting with the beginning of 1970 and
ending 1996. The business cycle was identified by means of a ba-
sic structure model based on first-order-differenced data, as a unit
root was found in the series. Nevertheless, the authors concen-
trated on the classical definition of the business cycle. In this
model, there are two states of the economy incorporated. One is
called "recession" and the other "expansion". Alternating between
both states, with transition probabilities modelled by a Markovian-
switching model, the economy is either in the strong-growth re-
gime (expansion") or otherwise in a recession122• In order to cap-
ture the comovements of the business cycle states between Euro-
pean countries, Artis - Krolzig - Toro (2004) calculated a contin-
gency table which shows the frequencies of two series being in
the same state. In contrast to the vast majority of other studies,
they found the highest comovement between France and Austria
and Belgium and France. The simultaneous cross-correlation be-
tween Austria and Germany of the smoothed probabilities of be-
122 For some countries, the authors modelled a third state in order to capture a
structural break in the series.
The Austrian Business Cycle in the European Context
Forschungsergebnisse der Wirtschaftsuniversitat Wien
- Title
- The Austrian Business Cycle in the European Context
- Author
- Marcus Scheiblecker
- Publisher
- PETER LANG - lnternationaler Verlag der Wissenschaften
- Location
- Frankfurt
- Date
- 2008
- Language
- English
- License
- CC BY 4.0
- ISBN
- 978-3-631-75458-0
- Size
- 14.8 x 21.0 cm
- Pages
- 236
- Keywords
- Economy, Wirtschaft, WIFO, Vienna
- Categories
- International
- Recht und Politik
Table of contents
- Zusammenfassung V
- Abstract IX
- List of figures and tables XV
- List of abbreviations XVII
- List of variables XIX
- 1. Research motivation and overview 1
- 2. The data 7
- 3. Methods of extracting business cycle characteristics 13
- 4. Identifying the business cycle 41
- 5. Analysing cyclical comovements
- 6. Dating the business cycle 61
- 7. Analysis of turning points 71
- 8. Results 79
- 9. Comparing results with earlier studies on the Austrian business cycle 125
- 9.1 Comparing the results with the study by Altissimo et al. (2001) 126
- 9.2 Comparing the results with the study by Monch -Uhlig (2004) 128
- 9.3 Comparing the results with the study by Cheung -Westermann (1999) 130
- 9.4 Comparing the results with the study by Brandner -Neusser (1992) 131
- 9.5 Comparing the results with the study by Forni - Hallin -Lippi -Reich/in (2000) 132
- 9.6 Comparing the results with the study by Breitung -Eickmeier (2005) 134
- 9.7 Comparing the results with the study by Artis - Marcellino - Proietti (2004) 134
- 9.8 Comparing the results with the study by Vijselaar -Albers (2001) 140
- 9.9 Comparing the results with the study by Artis - Zhang (1999) 142
- 9.10 Comparing the results with the study by Dickerson -Gibson -Tsakalotos (1998) 142
- 9.11 Comparing the results with the study by Artis - Krolzig - Toro (2004) 143
- 9.12 Comparing the results with the dating calendar of the CEPR 146
- 9.13 Comparing the results with the study by Breuss ( 1984) 151
- 9.14 Comparing the results with the study by Hahn - Walterskirchen ( 1992) 153
- 9.15 Comparison of the results of different dating procedures 154
- 9 .15.1 Turning point dates of the Austrian business cycle 155
- 9 .15.2 Turning point dates of the euro area business cycle 156
- 10. Concludlng remarks 161
- References 169
- Annex 177